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PUBLICATIONS

Portfolio Selection with Mental Accounts and Estimation Risk, with Gordon J. Alexander and Shu Yan, Journal of Empirical Finance, forthcoming.

Abstract


On Regulatory Responses to the Recent Crisis: An Assessment of the Basel Market Risk Framework and the Volcker Rule, 2015, with Gordon J. Alexander and Shu Yan, Financial Markets, Institutions and Instruments 24, 87-125 [Lead Article].

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Bank Regulation and International Financial Stability: A Case against the 2006 Basel Framework for Controlling Tail Risk in Trading Books, 2014, with Gordon J. Alexander and Shu Yan, Journal of International Money and Finance 43, 107–130.

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A Comparison of the Original and Revised Basel Market Risk Frameworks for Regulating Bank Capital, 2013, with Gordon J. Alexander and Shu Yan, Journal of Economic Behavior and Organization 85, 249–268.

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When More is Less: Using Multiple Constraints to Reduce Tail Risk, 2012, with Gordon J. Alexander and Shu Yan, Journal of Banking and Finance 36, 2693–2716.

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Portfolio Selection with Mental Accounts and Background Risk, 2012, Journal of Banking and Finance 36, 968–980.

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Appendix (provides proofs of theoretical results in the paper)


Portfolio Selection with Mental Accounts and Delegation, 2011, with Gordon J. Alexander, Journal of Banking and Finance 35, 2637–2656.

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Active Portfolio Management with Benchmarking: A Frontier Based on Alpha, 2010, with Gordon J. Alexander, Journal of Banking and Finance 34, 2185–2197.

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Reducing Estimation Risk in Optimal Portfolio Selection When Short Sales Are Allowed, 2009, with Gordon J. Alexander and Shu Yan, Managerial and Decision Economics 30, 281–305 [Lead Article].

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Stress Testing by Financial Intermediaries: Implications for Portfolio Selection and Asset Pricing, 2009, with Gordon J. Alexander, Journal of Financial Intermediation 18, 65–92.

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Optimal Delegated Portfolio Management with Background Risk, 2008, Journal of Banking and Finance 32, 977–985.

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Appendix (provides proofs of theoretical results in the paper)


Active Portfolio Management with Benchmarking: Adding a Value-at-Risk Constraint, 2008, with Gordon J. Alexander, Journal of Economic Dynamics and Control 32, 779–820.

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Mean-Variance Portfolio Selection with 'at-Risk' Constraints and Discrete Distributions, 2007, with Gordon J. Alexander and Shu Yan, Journal of Banking and Finance 31, 3761–3781.

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Appendix (provides proofs of theoretical results and describes the numerical procedure in the paper)


On the Non-Existence of Redundant Options, 2007, Economic Theory 31, 205–212 [Lead Article].

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Portfolio Selection with a Drawdown Constraint, 2006, with Gordon J. Alexander, Journal of Banking and Finance 30, 3171–3189.

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Appendix (provides proofs of the theoretical results in the paper)


Does the Basle Capital Accord Reduce Bank Fragility? An Assessment of the Value-at-Risk Approach, 2006, with Gordon J. Alexander, Journal of Monetary Economics 53, 1631–1660.

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Options and Efficiency in Multidate Security Markets, 2005, Mathematical Finance 15, 569–587.

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A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model, 2004, with Gordon J. Alexander, Management Science 50, 1261–1273.

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Appendix (provides additional results not contained in the paper)


Portfolio Performance Evaluation Using Value-at-Risk, 2003, with Gordon J. Alexander, Journal of Portfolio Management 29, 93–102.

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Spanning with American Options, 2003, Journal of Economic Theory 110, 264–289.

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Economic Implications of Using a Mean-VaR Model for Portfolio Selection: A Comparison with Mean-Variance Analysis, 2002, with Gordon J. Alexander, Journal of Economic Dynamics and Control 26, 1159–1193.

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A Note on the Rights Valuation Formula Commonly Presented in Finance Textbooks, 2001, with Gordon J. Alexander, Journal of Applied Finance 11, 102–109.

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SELECTED WORKING PAPER:

Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework, with Gordon J. Alexander.



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